My favorites have been due to unique experience more than anything else. Just going to list my primary systems and then talk singular favorite.
Coppermine PIII 700MHz switched FSB to 133 for the budget PIII 933MHz performance
Dual Tualatin PIII-S 1.4GHz with DDR memory
Athlon XP-M 2500 (found a two decade old email receipt because I couldn't remember which SKU
)
Athlon 64 x2 4400
i7-920 @ 3.8GHz with 4GHz boost
i7-6800K @ 4.2GHz all core/4.3GHz two core
i7-6900K @ 4.2GHz all core/4.3GHz two core (this was later on when a company was selling brand new tray CPUs for very cheap and it ended up being better than anything new at equivalent price)
Ultra 7 265K stock clocks with D2D/NGU at 32x until Intel updates arrive
My favorite from the ones I've had would be my dual Tualatin PIII system with DDR. The MSI motherboard I have didn't have voltage controls so I had to connect pins (used copper leads from christmas light bulbs) on the CPU to increase voltage for overclocking. This system was extremely fast for it's time and if it could have clocked higher (could only get ~1.55GHz) probably would have lasted longer even with games not being able to use multiple threads. It was fun at LAN parties though to have people pulling stuff off my system and never notice because one CPU was handling the game and the other everything else.
It became my first server box and ran until it was replaced by a SNB Xeon based system in ~2011. It hasn't been powered on in probably a decade but is still in storage.
I doubt the 265K will end up passing the Tualatin system, but part of the reason I got it is all the new levers with which to tweak the system. I really like the optimization aspect of putting together my own systems so all the new things to mess around with really appeals.